I can not have environmental map and volume lighting at the same time?
The light coming from environment map is infinitely far away, so it get's absorbed by any amount of volume.

Build a sky dome - sphere big enough with inverted normals. Assign and emission shader with environment texture node plugged into it with the hdr.

Set your volumetric environment like you want.

Tadaa! And yes, expect your render times to be infinite, hope you don't have any glass or glossy in the scene.)